Where to see a cultural program in Jaisalmer?

I wanted to see the cultural program in Jaisalmer, where they perform the traditional dances, puppet shows and also light a bonfire. I have only seen it in films, so I don't even know whether these cultural programs exist or not, if they do where can I go and see them?
What other kinds of entertainment is shown in the program?

The place where the cultural program is held is in the Jaisalmer sand dunes. The program consists of traditional Rajasthani dances, puppet shows like you have mentioned and apart from this you can also watch women performing some amazing talent with swords and clay pots and also acrobatics.
You can signup for the Sam Sand Dunes for a dessert safari which will also include camel riding in the evening during sunset. You can also visit the Dessert Cultural Centre. If you wish you can also stay at the dessert as there is accommodation provided there which is worth it for the experience.
Most hotels organize the trip so you can ask your hotel about it as well.

When I went with my family about 3 years ago we contacts a local tour operator who organised everything for us. We watched the cultural program and also stayed the night there in a tent, food was included as well.

You have three options you can choose from to enjoy the cultural programs in Jaisalmer:

1. Check in at Desert Camps where they provide such entertainment. A few worth staying in are:

Oasis Camp Sam. They have a live folk music and dance show every night. There's also a campfire that you can enjoy, although it depends on the season whether there is one. Tented accommodations are at Rs. 2,000 per night. Location is at Sam Sand Dunes, Village - Sam, Jaisalmer - Sam - Dhanana Rd, Kanoi, Rajasthan 345001.

Prince Desert Camp. Every night while guests are having dinner, they have a traditional musician and folk dancer providing the entertainment. Dinner is also served around a campfire. Rates vary but start at about Rs. 5,000 per night. Location is at Lakhmana Road, Sam Sand Dunes, Jaisalmer, Rajasthan 345001.

Damodra Desert Camp. They have Rajasthani dinner served with live music and folk dance, of course, within a campfire. Rates start at Rs. 10,000 per night. Location is at V.P.O Damodra, Sam Road, Jaisalmer, Rajasthan 34500.

2. Visit the Desert Cultural Centre and Museum for some live cultural performances. It is open from 9:00 am to 8:00 pm. The Puppet Shows are during 6:30 pm and 7:30 pm. The rate for combined museum and puppet show is Rs. 70.

3. Go to Jaisalmer during February for the Desert Festival. You get to see cultural events and camel competitions during this festival. Rajasthani folk dances and songs are performed during this time. Also, watch for the famous Gair and Fire dancers, another amazing spectacle to be seen.